Measuring Systemic Risk
Viral V. AcharyaCopenhagen Business School, New York University, AQR Capital Management, and CEPRLasse Heje PedersenNew York University, Stern School of Business, 44 West 4th St., New York, NY 10012Thomas PhilipponNew York University, Stern School of Business, 44 West 4th St., New York, NY 10012Matthew RichardsonNew York University, Stern School of Business, 44 West 4th St., New York, NY 10012
2016en
ABI
Аннотация
We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality. Each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the institution's leverage and its marginal expected shortfall (MES), that is, its losses in the tail of the system's loss distribution. We demonstrate empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007-2009.
Перевод пока недоступен
Идентификаторы
Цитирования и источники
Цитирований: 2Использованных источников: 0